Vogelsang, Timothy J.Wagner, Martin2014-11-052014-11-052014-10http://hdl.handle.net/2003/3367610.17877/DE290R-6614We propose a RESET-type test for the null hypothesis of linearity of a cointegrating relationship with an asymptotic chi-squared null distribution. The test is based on an extension of the Integrated Modified OLS estimator of Vogelsang and Wagner (2014) from linear cointegrating relationships to multivariate cointegrating polynomial relationships. For the case of full design we furthermore provide fixed-b asymptotic theory for our RESET test. The theoretical results are complemented by a small simulation study.enDiscussion Paper / SFB 823;37/2014bandwidthspecification testkernelIM-OLSfixed-b asymptoticscointegrationnonlinearity310330620working paper